Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0481 |
| Annualized Std Dev | 0.2452 |
| Annualized Sharpe (Rf=0%) | -0.1963 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3294.0000 |
| NAs | 1.0000 |
| Minimum | -0.1218 |
| Quartile 1 | -0.0062 |
| Median | 0.0003 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1006 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0154 |
| Skewness | -0.7002 |
| Kurtosis | 9.1761 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0129 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.6926 |
| Historical VaR (95%) | -0.0231 |
| Historical ES (95%) | -0.0390 |
| Modified VaR (95%) | -0.0256 |
| Modified ES (95%) | -0.0558 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-02-28 | 2009-03-09 | NA | -0.6926 | 3289 | 259 | NA |
| 2008-02-20 | 2008-02-20 | 2008-02-25 | -0.0079 | 4 | 1 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | -2.5 | 2.5 | -0.3 | 0.4 | -1.6 | -0.8 | 0.2 | 0.2 | 2.6 | -3.9 | 1.5 | -2.1 |
| 2009 | -2.3 | -0.6 | 2.1 | 2 | 4.7 | 1.3 | 1.3 | -2.5 | -3 | -3.5 | 1.9 | -0.3 | 0.6 |
| 2010 | 1.7 | 0.7 | 1.5 | -0.2 | -1.7 | 2.1 | -0.1 | 3.1 | 0.9 | -0.3 | 3 | 0.9 | 12 |
| 2011 | 1.8 | -1.6 | 1.2 | 0.2 | -2.3 | 1 | -0.9 | -1.1 | -3.4 | -3.8 | -0.9 | 0.1 | -9.4 |
| 2012 | 1.8 | 1 | 1 | 0.4 | -1.8 | 4.7 | 0.2 | 1.1 | 0.6 | 0.6 | 0 | 1.8 | 11.8 |
| 2013 | 1.1 | 0 | -0.5 | -0.9 | -2.6 | 0.1 | 0.5 | -0.2 | 0.7 | -0.6 | -0.1 | 0.4 | -1.9 |
| 2014 | -1 | 0.3 | 0.6 | -0.3 | -0.2 | 0.3 | -0.4 | 0 | -1.2 | 0.7 | -1.1 | -0.6 | -3 |
| 2015 | -0.8 | 0.3 | 0.9 | 0.5 | -0.5 | -0.3 | -0.2 | -3.3 | 0.2 | 0.4 | 1.4 | -0.8 | -2.2 |
| 2016 | -0.4 | 2.6 | -1.2 | 0.1 | -0.3 | 0.4 | -0.9 | 1.1 | 0.8 | -0.4 | 0.2 | -0.2 | 1.8 |
| 2017 | 0 | 0.6 | -0.1 | 0.5 | 0.7 | -0.3 | 0.4 | 0.2 | 0.5 | -0.3 | 0.2 | -0.1 | 2.5 |
| 2018 | 0 | -0.8 | 0.9 | -0.2 | 0.4 | 0.6 | -0.5 | -0.6 | -0.1 | 1.4 | -0.3 | 0.2 | 0.9 |
| 2019 | -0.3 | -0.1 | 0.8 | -0.4 | -0.1 | 0 | -0.1 | 0.3 | -0.5 | 0.6 | -0.4 | 0.2 | 0 |
| 2020 | -1.1 | -1.8 | -4.3 | -2.6 | 2 | 0.5 | -1.3 | -0.2 | 0.7 | -0.4 | 1.4 | -0.8 | -7.8 |
| 2021 | 0.8 | 1.3 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-02-19 73.1 SPY 136. 0.0028 0.0132 0.0157 -0.0688 -0.0701 0.119 0.610 GLD 91.6 0.0273 0.0027
2 2008-02-20 72.5 SPY 136. 0.003 0.0069 0.0292 -0.0677 -0.0693 0.121 0.587 GLD 93.2 0.0181 0.0438
3 2008-02-21 72.7 SPY 135. -0.0083 -0.0116 0.0311 -0.0624 -0.0767 0.121 0.582 GLD 93.2 0.0001 0.0426
4 2008-02-22 72.5 SPY 136. 0.0062 0.0033 0.0131 -0.0624 -0.0703 0.126 0.608 GLD 93.4 0.0015 0.041
5 2008-02-25 75.0 SPY 137. 0.0126 0.0162 0.0173 -0.0307 -0.0549 0.158 0.612 GLD 92.7 -0.007 0.0403
6 2008-02-26 76.4 SPY 138. 0.0075 0.021 0.04 -0.04 -0.0469 0.158 0.651 GLD 93.7 0.0105 0.0233
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
